Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0006
Annualized Std Dev 0.1419
Annualized Sharpe (Rf=0%) -0.0043

Row

Daily Return Statistics

Close
Observations 5586.0000
NAs 1.0000
Minimum -0.1316
Quartile 1 -0.0031
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0038
Maximum 0.1347
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0089
Skewness -0.3807
Kurtosis 42.0037

Downside Risk

Close
Semi Deviation 0.0065
Gain Deviation 0.0069
Loss Deviation 0.0078
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.5532
Historical VaR (95%) -0.0119
Historical ES (95%) -0.0213
Modified VaR (95%) -0.0080
Modified ES (95%) -0.0080
From Trough To Depth Length To Trough Recovery
2006-01-03 2008-12-16 2012-03-12 -0.5532 1559 745 814
2012-12-03 2020-03-18 NA -0.3668 2089 1835 NA
1999-02-01 2000-05-15 2005-12-29 -0.2782 1739 325 1414
2012-03-13 2012-03-16 2012-05-02 -0.0679 36 4 32
2012-10-24 2012-11-05 2012-11-09 -0.0312 11 7 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.8 0.4 0.9 0.9 0.5 0 1.4 0.5 1 0.5 0 2.7 8.1
2000 -1.5 -1.5 5.6 0 2.1 2.6 -0.5 0 0.5 0 0 0 7.3
2001 1.7 0.2 1 -0.4 0.1 -0.4 0.4 0 1.5 1.8 0.3 0.1 6.5
2002 0.1 -0.3 0.9 0.1 0.4 0.5 0.3 0.8 0.1 0.6 -0.2 0.4 3.8
2003 0 0.1 0.2 -0.2 0.4 0.6 -0.5 0.4 0.1 0.1 -0.8 0.3 0.8
2004 0.7 -0.2 0.1 0.9 0.4 1.1 0.1 0.2 -0.8 0.2 0.3 0.1 3.3
2005 0.1 0.1 0.3 -0.1 0.1 0.1 -0.1 0.1 0.1 0.1 0.7 0.5 2
2006 -1 -0.3 0.5 -0.8 0 2 0.6 0 -0.1 0.8 0 0.7 2.4
2007 -0.1 -0.1 0.2 0.6 -0.4 1.5 -0.2 0.7 0.4 0.4 0.5 0.5 4
2008 0.8 -2 0.8 0 0 -0.2 0.2 -0.3 1.1 -1.7 0.1 1.3 0
2009 2 -1.2 1.3 0.5 -0.9 0.5 0.7 0.2 -0.1 -2.2 0.7 0.2 1.6
2010 -0.2 -0.2 0.1 -0.3 0.8 -0.1 -0.2 -0.7 0.4 -0.4 -1.2 2.3 0.1
2011 1.2 0.5 0.9 0.6 -0.6 0.4 0.5 0.6 0.2 0.1 -0.5 0.3 4.2
2012 -0.1 0.7 -0.1 0.6 -0.1 0.3 0.3 -1.1 0.1 0.4 0.3 0.5 1.8
2013 -0.2 -1.4 -0.4 0.3 -2.3 -0.1 -0.6 0 -0.5 -1.1 -0.1 -0.2 -6.5
2014 0.3 -0.4 0.3 0.5 -0.8 -0.3 -0.1 -0.1 0.5 0 -0.3 -0.1 -0.6
2015 0.7 1.6 0.1 0.1 0.3 0.1 1.1 -0.1 0.3 0.7 0.3 0.3 5.5
2016 0 1 0.5 0.2 1.3 0 -0.2 0.3 -0.2 -0.1 -0.7 -0.1 1.9
2017 -0.1 -0.1 0.4 0.2 -0.1 0 0.4 0.1 -0.1 -0.1 0.6 -0.4 0.9
2018 -0.4 -0.5 0.4 -0.2 0.2 0.2 -0.5 -0.3 -0.1 0.4 0.5 0.3 -0.1
2019 -0.2 0.2 -0.1 0.1 -0.1 0.1 0.8 0.2 0.1 -0.4 0.1 0.5 1.1
2020 -0.1 -0.5 -2.6 0.6 -0.1 0.1 0.3 0.5 0.6 -0.1 0.1 0.3 -1
2021 0.6 -0.2 -0.1 NA NA NA NA NA NA NA NA NA 0.3

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart